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AN ACCESSIBLE TREATMENT OF MONTE CARLO METHODS, TECHNIQUES,AND APPLICATIONS IN THE FIELD OF FINANCE AND ECONOMICS
Providing readers with an in-depth and comprehensive guide, theHandbook in Monte Carlo Simulation: Applications in FinancialEngineering, Risk Management, and Economics presents a timelyaccount of the applications of Monte Carlo methods in financialengineering and economics. Written by an international leadingexpert in the field, the handbook illustrates the challengesconfronting present-day financial practitioners and providesvarious applications of Monte Carlo techniques to answer theseissues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; randomvariate and sample path generation; output analysis and variancereduction; and applications ranging from option pricing and riskmanagement to optimization.
The Handbook in Monte Carlo Simulation features:
■ An introductory section for basic material onstochastic modeling and estimation aimed at readers who may need asummary or review of the essentials
■ Carefully crafted examples in order to spotpotential pitfalls and drawbacks of each approach
■ An accessible treatment of advanced topics suchas low-discrepancy sequences, stochastic optimization, dynamicprogramming, risk measures, and Markov chain Monte Carlomethods
■ Numerous pieces of R code used to illustratefundamental ideas in concrete terms and encourageexperimentation
The Handbook in Monte Carlo Simulation: Applications inFinancial Engineering, Risk Management, and Economics is acomplete reference for practitioners in the fields of finance,business, applied statistics, econometrics, and engineering, aswell as a supplement for MBA and graduate-level courses on MonteCarlo methods and simulation.
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